FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6362	2.95***
α ARCH Response to squared shocks	0.0909	2.88***
β GARCH Volatility persistence	0.8151	12.64***

γ₁	0.1956	0.65
γ₂	-0.6807	-1.58
γ₃	0.8452	3.49***
γ₄	-0.4317	-2.08**
γ₅	0.0112	0.06
γ₆	0.0917	0.61

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T42 LoT Tracking Solutions PLC Zero Slope Spline-GARCH Volatility Analysis

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